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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

MAY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.7 102.9 104.5 * 0.0 0.0 0.0
Weighted Avg. Price 100.7 102.9 104.5 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.6 102.8 104.4 * 0.0 0.0 0.0
2nd Quartile Price 100.6 102.8 104.5 * 0.0 0.0 0.0
3rd Quartile Price 100.8 102.9 104.5 * 0.0 0.0 0.0
4th Quartile Price 100.8 103.0 104.5 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.8 103.0 104.5 * 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 4,967,760.8 5,700,243.1 1,147,599.4 * 0.0 0.0 0.0
     NUMBER OF TRADES 222 283 131 * 0 0 0
FHLMC
AVERAGE PRICE 100.8 103.0 104.7 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.9 103.0 104.7 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.7 102.9 104.7 0.0 0.0 0.0 0.0
2nd Quartile Price 100.8 102.9 104.7 0.0 0.0 0.0 0.0
3rd Quartile Price 100.9 103.0 104.7 0.0 0.0 0.0 0.0
4th Quartile Price 100.9 103.0 104.7 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.9 103.1 104.7 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 233,050.0 1,146,895.0 180,000.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 20 27 10 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JULY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.4 102.8 104.4 * * * 0.0
Weighted Avg. Price 100.6 102.8 104.4 * * * 0.0
Avg. Price Bottom 5 Trades 99.8 102.7 104.3 * * * 0.0
2nd Quartile Price 100.5 102.7 104.3 * * * 0.0
3rd Quartile Price 100.6 102.8 104.4 * * * 0.0
4th Quartile Price 100.7 102.8 104.4 * * * 0.0
Avg. Price Top 5 Trades 100.7 102.9 104.4 * * * 0.0
Standard Deviation 0.7 0.1 0.1 * * * 0.0
     VOLUME OF TRADES (000'S) 1,073,944.0 1,563,400.0 358,050.0 * * * 0.0
     NUMBER OF TRADES 24 86 34 * * * 0
FHLMC
AVERAGE PRICE 100.1 102.9 * * * 0.0 0.0
Weighted Avg. Price 100.5 102.9 * * * 0.0 0.0
Avg. Price Bottom 5 Trades 99.7 102.9 * * * 0.0 0.0
2nd Quartile Price 100.6 * * * * 0.0 0.0
3rd Quartile Price 100.7 * * * * 0.0 0.0
4th Quartile Price 100.8 * * * * 0.0 0.0
Avg. Price Top 5 Trades 100.7 102.9 * * * 0.0 0.0
Standard Deviation 1.1 0.1 * * * 0.0 0.0
     VOLUME OF TRADES (000'S) 137,700.0 282,400.0 * * * 0.0 0.0
     NUMBER OF TRADES 10 5 * * * 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.5 102.6 104.2 * 0.0 0.0 0.0
Weighted Avg. Price 100.5 102.6 104.2 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.5 102.6 104.2 * 0.0 0.0 0.0
2nd Quartile Price * 102.6 * * 0.0 0.0 0.0
3rd Quartile Price * 102.7 * * 0.0 0.0 0.0
4th Quartile Price * 102.7 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.5 102.7 104.2 * 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 87,319.0 132,500.0 94,500.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 5 43 6 * 0 0 0
FHLMC
AVERAGE PRICE 0.0 102.7 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 102.7 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 102.7 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 102.7 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 35,000.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 5 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

MAY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 * 0 0 0
GNMA
AVERAGE PRICE 0.0 * * * 108.0 0.0 0.0
Weighted Avg. Price 0.0 * * * 108.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * * 108.0 0.0 0.0
2nd Quartile Price 0.0 * * * * 0.0 0.0
3rd Quartile Price 0.0 * * * * 0.0 0.0
4th Quartile Price 0.0 * * * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * * 108.0 0.0 0.0
Standard Deviation 0.0 * * * 1.3 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * * 22,799.8 0.0 0.0
     NUMBER OF TRADES 0 * * * 6 0 0
JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 100.1 102.9 105.4 107.6 109.8 0.0
Weighted Avg. Price * 100.1 103.0 105.4 107.7 109.8 0.0
Avg. Price Bottom 5 Trades * 99.9 102.8 105.3 107.6 109.7 0.0
2nd Quartile Price * 100.0 102.9 105.3 107.6 109.8 0.0
3rd Quartile Price * 100.0 102.9 105.4 107.6 109.8 0.0
4th Quartile Price * 100.2 103.0 105.4 107.7 109.8 0.0
Avg. Price Top 5 Trades * 100.2 103.1 105.5 108.6 109.8 0.0
Standard Deviation * 0.1 0.1 0.1 0.2 0.1 0.0
     VOLUME OF TRADES (000'S) * 8,679,582.6 25,110,971.4 24,062,549.8 5,573,896.4 172,270.0 0.0
     NUMBER OF TRADES * 417 1,149 757 307 19 0
FHLMC
AVERAGE PRICE 0.0 100.0 102.9 105.4 107.6 * *
Weighted Avg. Price 0.0 100.0 103.0 105.4 107.6 * *
Avg. Price Bottom 5 Trades 0.0 99.9 102.8 105.3 107.5 * *
2nd Quartile Price 0.0 99.9 102.9 105.3 107.5 * *
3rd Quartile Price 0.0 99.9 102.9 105.3 107.6 * *
4th Quartile Price 0.0 100.1 103.0 105.4 107.6 * *
Avg. Price Top 5 Trades 0.0 100.1 103.1 106.1 107.6 * *
Standard Deviation 0.0 0.1 0.1 0.2 0.1 * *
     VOLUME OF TRADES (000'S) 0.0 676,914.0 3,421,484.4 3,552,667.9 788,823.4 * *
     NUMBER OF TRADES 0 24 70 69 43 * *
GNMA
AVERAGE PRICE * 101.6 104.1 105.7 107.0 * *
Weighted Avg. Price * 101.6 104.1 105.7 107.0 * *
Avg. Price Bottom 5 Trades * 101.2 103.4 105.4 106.9 * *
2nd Quartile Price * 101.5 104.0 105.7 106.9 * *
3rd Quartile Price * 101.5 104.1 105.7 106.9 * *
4th Quartile Price * 101.6 104.1 105.7 107.0 * *
Avg. Price Top 5 Trades * 102.0 104.8 106.5 108.0 * *
Standard Deviation * 0.2 0.2 0.2 0.4 * *
     VOLUME OF TRADES (000'S) * 3,152,536.3 13,501,650.8 3,119,533.9 1,156,408.3 * *
     NUMBER OF TRADES * 110 341 242 77 * *
JULY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 99.9 102.7 105.2 107.5 109.6 *
Weighted Avg. Price * 99.9 102.8 105.2 107.5 109.7 *
Avg. Price Bottom 5 Trades * 99.7 102.6 105.1 107.4 109.6 *
2nd Quartile Price * 99.8 102.7 105.1 107.4 * *
3rd Quartile Price * 99.9 102.7 105.1 107.4 * *
4th Quartile Price * 100.0 102.8 105.2 107.5 * *
Avg. Price Top 5 Trades * 100.0 102.9 105.3 107.5 109.6 *
Standard Deviation * 0.1 0.1 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) * 4,495,915.0 13,647,075.0 18,159,161.0 3,143,706.9 107,700.0 *
     NUMBER OF TRADES * 71 253 230 55 7 *
FHLMC
AVERAGE PRICE 0.0 99.9 102.7 105.1 107.4 * *
Weighted Avg. Price 0.0 99.9 102.8 105.2 107.4 * *
Avg. Price Bottom 5 Trades 0.0 99.9 102.6 105.1 107.4 * *
2nd Quartile Price 0.0 * 102.7 105.1 * * *
3rd Quartile Price 0.0 * 102.7 105.1 * * *
4th Quartile Price 0.0 * 102.8 105.2 * * *
Avg. Price Top 5 Trades 0.0 99.9 102.8 105.2 107.4 * *
Standard Deviation 0.0 0.1 0.1 0.1 0.1 * *
     VOLUME OF TRADES (000'S) 0.0 654,800.0 2,108,250.0 2,454,550.0 194,700.0 * *
     NUMBER OF TRADES 0 7 30 36 9 * *
GNMA
AVERAGE PRICE * 101.4 103.9 105.5 106.8 108.5 111.3
Weighted Avg. Price * 101.5 104.0 105.6 107.0 108.5 111.5
Avg. Price Bottom 5 Trades * 101.3 103.8 105.4 106.7 108.5 111.3
2nd Quartile Price * 101.3 103.8 105.5 106.7 * *
3rd Quartile Price * 101.4 103.8 105.5 106.8 * *
4th Quartile Price * 101.5 103.9 105.5 106.8 * *
Avg. Price Top 5 Trades * 101.7 104.0 105.6 107.1 108.5 111.3
Standard Deviation * 0.3 0.1 0.1 0.2 0.8 1.9
     VOLUME OF TRADES (000'S) * 2,478,203.0 10,555,053.1 1,067,066.0 307,844.0 66,308.0 51,000.0
     NUMBER OF TRADES * 41 165 112 25 6 5
AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 99.7 102.5 105.0 107.3 * 0.0
Weighted Avg. Price 0.0 99.7 102.6 105.0 107.3 * 0.0
Avg. Price Bottom 5 Trades 0.0 99.6 102.4 104.9 107.2 * 0.0
2nd Quartile Price 0.0 99.6 102.5 104.9 107.2 * 0.0
3rd Quartile Price 0.0 99.7 102.5 104.9 107.2 * 0.0
4th Quartile Price 0.0 99.8 102.6 105.0 107.3 * 0.0
Avg. Price Top 5 Trades 0.0 99.9 102.7 105.1 107.3 * 0.0
Standard Deviation 0.0 0.1 0.1 0.1 0.1 * 0.0
     VOLUME OF TRADES (000'S) 0.0 64,000.0 2,995,800.0 973,106.0 150,000.0 * 0.0
     NUMBER OF TRADES 0 20 240 106 14 * 0
FHLMC
AVERAGE PRICE 0.0 * 102.5 104.9 * 0.0 0.0
Weighted Avg. Price 0.0 * 102.5 104.9 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 102.5 104.9 * 0.0 0.0
2nd Quartile Price 0.0 * 102.5 * * 0.0 0.0
3rd Quartile Price 0.0 * 102.5 * * 0.0 0.0
4th Quartile Price 0.0 * 102.7 * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 102.6 104.9 * 0.0 0.0
Standard Deviation 0.0 * 0.1 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 150,500.0 191,000.0 * 0.0 0.0
     NUMBER OF TRADES 0 * 10 6 * 0 0
GNMA
AVERAGE PRICE 0.0 101.3 103.7 105.4 106.6 0.0 0.0
Weighted Avg. Price 0.0 101.3 103.7 105.4 106.6 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 101.1 103.6 105.3 106.6 0.0 0.0
2nd Quartile Price 0.0 101.2 103.6 105.3 106.6 0.0 0.0
3rd Quartile Price 0.0 101.2 103.7 105.3 106.6 0.0 0.0
4th Quartile Price 0.0 101.3 103.7 105.4 106.6 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.7 103.8 105.4 106.7 0.0 0.0
Standard Deviation 0.0 0.3 0.1 0.1 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 172,500.0 890,078.0 417,750.0 50,000.0 0.0 0.0
     NUMBER OF TRADES 0 40 187 77 18 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.